Shouldn't DHL Refund My Money?

jory: I ordered a piece of software through (one of the third-party affiliates)
jory: Selected 2nd day expedited shipping, costing $20
jory: On the 2nd day, the package is showing its out for delivery, but never gets delivered.
jory: I call DHL, customer service person says “I have no idea why it didn’t get delivered, it arrived in plenty of time.”
jory: I explain that I paid for 2nd day service and did not receive that [package].
jory: She tells me, “You will have to call the merchant, they will call us and we can refund them, then they can refund you”
jory: The merchant did not thing wrong, what motivation are they going to have to call DHL, request a refund, wait for it, and then transfer that to me?
jory: Seems like DHL should be refunding me
benpopken: Hm
benpopken: The thing is
benpopken: As far as DHL is concerned, the merchant is the customer
benpopken: Try doing it their way and see what happens
jory: sounds good